Discussion of article "Self-adapting algorithm (Part IV): Additional functionality and tests"
The results were less than modest with this approach. And martingale is usually associated with high risk but also with profitability.
I have long ago noticed that going into abstractions like entropy, distributions and so on is not very suitable for the market. The complexity of abstract concepts grows, but the results do not.
The results were less than modest with this approach. And martingale is usually associated with high risk but also profitability.
I have long ago noticed that going into abstractions like entropy, distributions and so on is not very suitable for the market. The complexity of abstract concepts grows, but the results do not.
The results may seem modest. But somewhere there is a model that can show income on any market and large time intervals without adjustment, maybe I missed something?
If the income means beating a bank deposit, it is possible. But there the interest will be accrued constantly, and here with drawdowns 2-3 times more than profit. And with an unknown outcome at the end of the reporting period.
I am writing about what I saw on the screens
If by income you mean beating a bank deposit, it is possible. But there the interest will be accrued constantly, and here with drawdowns 2-3 times more than the profit. And with an unknown outcome at the end of the reporting period.
I plan to beat bank deposits significantly. Yes, there are drawdowns now, but they can be significantly reduced. In the latest modification, I managed to reduce the drawdown on one instrument by 10 times with the same parameters, relative to the version shown in the article.
Just commented on what I saw, without any deep analysis :)
The results were less than modest with this approach. And martingale is usually associated with high risk, but also with profitability.
I have long ago noticed that going into abstractions like entropy, distributions and so on is not very suitable for the market. The complexity of abstract concepts grows, but the results do not.
I think so too.
for grid TSs one should look first of all at the equity line on the tester's charts, not at the balance, in the examples given in the article, imho, there is nothing to look at - unpredictable behaviour of TSs in general.
Just commented on what I saw, without any deep analysis :)
I understand the questions, it is not always clear what is being done and why, what goals are being pursued, so comments are needed. And a look from the outside helps to understand where mistakes can be made.
I think so, too.
for grid TSs you should look first of all at the equity line on the tester's charts, not at the balance, in the examples given in the article, imho, there is nothing to look at - unpredictable behaviour of the TS at all
unpredictable, but for 18 years of testing on 56 trading instruments it shows plus without optimisations. What predictable behaviour will be then?
unpredictable, but for 18 years of testing on 56 trading instruments it shows plus without optimisations. What predictable behaviour would be then?
Predictably, the TS discussed in the article simply depend on the starting deposit.
SZY: there was a saying that if you sit on the river bank for a long time, you can see the body of a passing enemy...imho, the testing period of 18 years repeats this saying.
predictably, the TSs discussed from the article simply depend on the starting deposit
SZY: there was a saying that if you sit on the river bank for a long time, you can see the body of a passing enemy...imho, the testing period of 18 years approximately repeats this saying.
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New article Self-adapting algorithm (Part IV): Additional functionality and tests has been published:
I continue filling the algorithm with the minimum necessary functionality and testing the results. The profitability is quite low but the articles demonstrate the model of the fully automated profitable trading on completely different instruments traded on fundamentally different markets.
In the previous article, I demonstrated how the algorithm generates a signal for opening a position and analyzes several scales simultaneously for defining the maximum trend scale. The basic operation algorithm was described. The price series chart does not consist of one scale. The trend can be present on several scales at the same time, while there can be flat on other scales. This feature should be used to make a profit.
Here, a trend section is a segment, on which the trend continuation probability exceeds 50%, while a flat segment is one, on which the trend reversal probability exceeds 50%. In other words, if the previous block was growing, then in the trend section, the new block will also grow with a probability higher than 50%. On a flat chart, a growing block is most probably followed by a falling block. I described the proposed definition in detail in the article "What is a trend and is the market structure based on trend or flat?"
Figure 1. Trend and flat on different scales
Figure 1 shows a clearly visible bearish trend on 32 blocks of 0.00061. The trend is almost absent on 32 blocks with the scale of 0.00131. In most cases, there are simultaneously the scales featuring both trend and flat.
Author: Maxim Romanov